Generalized backward doubly stochastic differential equations and SPDEs with nonlinear Neumann boundary conditions

DOI10.3150/07-BEJ5092zbMATH Open1135.60038arXiv0708.4138OpenAlexW3100658325MaRDI QIDQ2465271FDOQ2465271

Authors: Yanyan Li 

Publication date: 9 January 2008

Published in: Bernoulli (Search for Journal in Brave)

Abstract: In this paper a new class of generalized backward doubly stochastic differential equations is investigated. This class involves an integral with respect to an adapted continuous increasing process. A probabilistic representation for viscosity solutions of semi-linear stochastic partial differential equations with a Neumann boundary condition is given.

Full work available at URL: https://arxiv.org/abs/0708.4138

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zbMATH Keywords

Neumann boundary conditionbackward doubly stochastic differential equationBackward stochastic differential equationparabolic stochastic PDE

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) PDEs with randomness, stochastic partial differential equations (35R60) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

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• Generalized BSDEs and nonlinear Neumann boundary value problems
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Cited In (38)

• Path-dependent optimal stochastic control and viscosity solution of associated Bellman equations
• Obstacle problem for SPDE with nonlinear Neumann boundary condition via reflected generalized backward doubly SDEs
• On a class of backward doubly stochastic differential equations
• Weak solutions for SPDE's and backward doubly stochastic differential equations
• Generalized anticipated backward stochastic differential equations driven by Brownian motion and continuous increasing process
• Probabilistic interpretation for solutions of fully nonlinear stochastic pdes
• The Neumann problem for fully nonlinear SPDE
• Backward doubly stochastic differential equations and SPDEs with quadratic growth
• Probabilistic approach for nonlinear partial differential equations and stochastic partial differential equations with Neumann boundary conditions
• Generalized backward doubly stochastic differential equations driven by Lévy processes with discontinuous and linear growth coefficients
• Reflected backward doubly stochastic differential equations with discontinuous barrier
• Backward parabolic Ito equations and the second fundamental inequality
• Comparison theorems for the multidimensional BDSDEs and applications
• An approximation result for nonlinear SPDEs with Neumann boundary conditions
• Backward doubly stochastic differential equations with a superlinear growth generator
• An efficient Monte Carlo scheme for Zakai equations
• \(L^p\)-solutions of backward doubly stochastic differential equations
• A generalized existence theorem of backward doubly stochastic differential equations
• Stochastic PDEs driven by nonlinear noise and backward doubly SDEs
• Generalized backward doubly stochastic differential equations driven by Lévy processes with continuous coefficients
• Mass-conserving stochastic partial differential equations and backward doubly stochastic differential equations
• Backward doubly SDEs and SPDEs with superlinear growth generators
• Forward-backward doubly stochastic systems and classical solutions of path-dependent stochastic PDEs
• Stochastic PDIEs with nonlinear Neumann boundary conditions and generalized backward doubly stochastic differential equations driven by Lévy processes
• Stationary stochastic viscosity solutions of SPDEs
• RBDSDEs with jumps and optional Barrier and mean field game with common noise
• On the continuity of the probabilistic representation of a semilinear Neumann-Dirichlet problem
• Nonlinear parabolic SPDEs involving Dirichlet operators
• A note on homeomorphism for backward doubly SDEs and applications
• Stochastic viscosity solutions for SPDEs with continuous coefficients
• Stochastic viscosity solutions for stochastic integral-partial differential equations
• Backward doubly stochastic Volterra integral equations and their applications
• \(L^p\)-estimates of solutions of backward doubly stochastic differential equations
• Backward doubly stochastic differential equations with random coefficients and quasilinear stochastic PDEs
• Stochastic PDEs and infinite horizon backward doubly stochastic differential equations
• Necessary condition for optimal control of doubly stochastic systems
• Multivalued stochastic partial differential-integral equations via backward doubly stochastic differential equations driven by a Lévy process
• Mean-field backward doubly stochastic differential equations and related SPDEs

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